FDEuropeanEngine< Scheme >

NAME

FDEuropeanEngine< Scheme > − Pricing engine for European options using finite-differences.

SYNOPSIS

#include <ql/pricingengines/vanilla/fdeuropeanengine.hpp>

Inherits OneAssetOption::engine, and FDVanillaEngine.

Public Member Functions

FDEuropeanEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size timeSteps=100, Size gridPoints=100, bool timeDependent=false)

Additional Inherited Members

Detailed Description

template<template< class > class Scheme = CrankNicolson>
class QuantLib::FDEuropeanEngine< Scheme >" Pricing engine for European options using finite-differences.

Tests

the correctness of the returned value is tested by checking it against analytic results.

Examples:

EquityOption.cpp.

Author

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